Mike Giles - Monte Carlo methods

Monte Carlo methods

Slides

Practical Sheets

Problem Sheets

MATLAB codes

Routines for standard option prices and Greeks:

Module 2: an introduction to Monte Carlo methods

Slides

Practical

Other Matlab files (not needed for this practical)


Module 4: Monte Carlo path simulation

Slides

Practical


Module 6: Advanced Monte Carlo methods

Slides

MATLAB codes

Past assignments


EMail

Mike.Giles@maths.ox.ac.uk